-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

-Estimator whose inputs (period used for local volatility calculation and confidence level used for jump detection) were also optimized …

We investigate the link between distress and idiosyncratic volatility. Specifically, we examine the twin puzzles of … anomalously low returns for high idiosyncratic volatility stocks and high distress risk stocks, documented by Ang et al (2006) and …, theoretical, single-beta CAPM model …

This work evaluates the behavior of portfolios comprised of Brazilian stocks ranked by their volatility to investigate … the low volatility anomaly.Between January 2003 and December 2021, the low volatility portfolio presented a 6% annual … return above the high volatility portfolio. This result is aligned with the observation made by Blitz and Van Vliet (2007) in …

” (identified as the volatility of the scores over a period of time), measured around a given slope. We find that 1-month, short … risk factor. There is equally strong evidence that a ESG spread strategy that buys (sells) low (high) ESG score volatility …

CAPM (Capital Asset Pricing Model) approach. Our results provide weak evidence of relationship between risk and return …